Importance Sampling for Portfolio Credit Risk
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Publication:3115935
DOI10.1287/mnsc.1050.0415zbMath1232.91621OpenAlexW2170127976MaRDI QIDQ3115935
Publication date: 21 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.1050.0415
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Portfolio theory (91G10) Credit risk (91G40)
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